Auckland, New Zealand
The Kahneman-Tversky Portfolio is a simple Dual Momentum Portfolio divided into two portions managed using slow (252-day) and fast (60- and 100-day) lookback periods respectively to calculate momentum.
We’ll start by taking a look at recent performance:
where we see that, since both portions have been invested in SHY (short-term Bonds) for the past 3 months, the portfolio has basically been on hold over this period as we saw first a recovery bounce followed by a reversal and continuation of the prior downtrend. Unfortunately we have not seen an inverse relationship (correlation) between these asset classes over this period as we might expect to see based on long-term historical relationships.
We’ll first check out the slower moving Kahneman portion and take a look at rankings and recommendations:
where we see no Buy recommendations. If we take a look at the rotation graphs:
we see a dismal picture of all assets heading down (short-term momentum) and to the left (long-term momentum).
Switching to the faster moving Tversky portion shows the same negative picture:
and not too much encouragement in the rotation graphs:
As a result I will not be making any changes this month and, as for the Rutherford Portfolio, all available funds will essentially be in Cash (with SHY as a proxy for Cash).
David
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